Dynamic asymmetric financial connectedness under tail dependence and rendered time variance: Selected evidence from emerging MENA stock markets
We study the volatility connectedness of stock market prices over various time horizons. We adopt a novel combination of copula and the asymmetric GARCH function (EGARCH) to fit this type of joint distribution consisting of the marginal distribution and the varying rendered time. The most obvious fi...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Elsevier
2019-12-01
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| Series: | Borsa Istanbul Review |
| Online Access: | http://www.sciencedirect.com/science/article/pii/S2214845019300419 |
| _version_ | 1818024135810351104 |
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| author | Huthaifa Alqaralleh Diyama Awadallah Noor Al-Ma'aitah |
| author_facet | Huthaifa Alqaralleh Diyama Awadallah Noor Al-Ma'aitah |
| author_sort | Huthaifa Alqaralleh |
| collection | DOAJ |
| description | We study the volatility connectedness of stock market prices over various time horizons. We adopt a novel combination of copula and the asymmetric GARCH function (EGARCH) to fit this type of joint distribution consisting of the marginal distribution and the varying rendered time. The most obvious finding to emerge from this study is that the dynamic connectedness of asymmetries in the chosen sample can well be modelled using a combination approach, such as the DCC Copula-GARCH model. Moreover, past-return volatility has a positive impact on current versatility with varying intensity. Keywords: Financial connectedness, Copula-EGARCH, Dynamic asymmetric spillover, JEL classification: G14, G15, G40, C58 |
| first_indexed | 2024-12-10T03:55:24Z |
| format | Article |
| id | doaj.art-5bf4f79a9f26434bb99465bde12440b4 |
| institution | Directory Open Access Journal |
| issn | 2214-8450 |
| language | English |
| last_indexed | 2024-12-10T03:55:24Z |
| publishDate | 2019-12-01 |
| publisher | Elsevier |
| record_format | Article |
| series | Borsa Istanbul Review |
| spelling | doaj.art-5bf4f79a9f26434bb99465bde12440b42022-12-22T02:03:08ZengElsevierBorsa Istanbul Review2214-84502019-12-01194323330Dynamic asymmetric financial connectedness under tail dependence and rendered time variance: Selected evidence from emerging MENA stock marketsHuthaifa Alqaralleh0Diyama Awadallah1Noor Al-Ma'aitah2Department of Economics, Business & Finance, Mutah University, Karak, Jordan; Corresponding author.Economics and Finance Department, Brunel University London, UKDepartment of Business Administration, Mutah University, Karak, JordanWe study the volatility connectedness of stock market prices over various time horizons. We adopt a novel combination of copula and the asymmetric GARCH function (EGARCH) to fit this type of joint distribution consisting of the marginal distribution and the varying rendered time. The most obvious finding to emerge from this study is that the dynamic connectedness of asymmetries in the chosen sample can well be modelled using a combination approach, such as the DCC Copula-GARCH model. Moreover, past-return volatility has a positive impact on current versatility with varying intensity. Keywords: Financial connectedness, Copula-EGARCH, Dynamic asymmetric spillover, JEL classification: G14, G15, G40, C58http://www.sciencedirect.com/science/article/pii/S2214845019300419 |
| spellingShingle | Huthaifa Alqaralleh Diyama Awadallah Noor Al-Ma'aitah Dynamic asymmetric financial connectedness under tail dependence and rendered time variance: Selected evidence from emerging MENA stock markets Borsa Istanbul Review |
| title | Dynamic asymmetric financial connectedness under tail dependence and rendered time variance: Selected evidence from emerging MENA stock markets |
| title_full | Dynamic asymmetric financial connectedness under tail dependence and rendered time variance: Selected evidence from emerging MENA stock markets |
| title_fullStr | Dynamic asymmetric financial connectedness under tail dependence and rendered time variance: Selected evidence from emerging MENA stock markets |
| title_full_unstemmed | Dynamic asymmetric financial connectedness under tail dependence and rendered time variance: Selected evidence from emerging MENA stock markets |
| title_short | Dynamic asymmetric financial connectedness under tail dependence and rendered time variance: Selected evidence from emerging MENA stock markets |
| title_sort | dynamic asymmetric financial connectedness under tail dependence and rendered time variance selected evidence from emerging mena stock markets |
| url | http://www.sciencedirect.com/science/article/pii/S2214845019300419 |
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